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Update filtering

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This commit is contained in:
Sik Yoon 2024-05-24 22:07:46 +09:00
parent d61cc14bd5
commit ede6c9e29d
3 changed files with 171 additions and 107 deletions
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136
src/strategy_team/future_strategy_long.rs
View File

@ -8,7 +8,7 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
};
use crate::future::{Position, FuturesExchangeInfo};
@ -31,61 +31,94 @@ pub async fn list_up_for_buy(
}
// current Tema(15) < current Tema(60)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
if tema15_vec.len() > 10
&& tema60_vec.len() > 10
&& tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
&& tema15_vec.last().unwrap().close_time > server_epoch
&& tema60_vec.last().unwrap().close_time > server_epoch
{
if tema15_vec.last().unwrap().tema_value > tema60_vec.last().unwrap().tema_value {
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
// if tema15_vec.len() > 10
// && tema60_vec.len() > 10
// && tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
// && tema15_vec.last().unwrap().close_time > server_epoch
// && tema60_vec.last().unwrap().close_time > server_epoch
// {
// if tema15_vec.last().unwrap().tema_value > tema60_vec.last().unwrap().tema_value {
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume(
60,
60,
4.0,
2.5,
1.0,
-0.5,
&filtered_data,
&alldata.rt_price_1m_vec,
)
.await?;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let heatmap_volumes = heatmap_volume(
// 60,
// 60,
// 4.0,
// 2.5,
// 1.0,
// -0.5,
// &filtered_data,
// &alldata.rt_price_1m_vec,
// )
// .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
// && heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
// && rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
// let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec_30m.last().unwrap().close_price,
// )
// .unwrap();
// values.closetime = heatmap_volume_vec.last().unwrap().close_time;
// values.current_price = current_price;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
let server_epoch = get_server_epoch().await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
if heatmap_volume_vec.len() > 100
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
&& rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
&& heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
&& rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
rt_price_vec_30m.last().unwrap().close_price,
)
.unwrap();
values.closetime = heatmap_volume_vec.last().unwrap().close_time;
values.current_price = current_price;
do_buy = true;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
if server_epoch < current_info.1 {
let search_result = stoch_rsi_vec
.iter()
.position(|x| x.close_time == current_info.1);
if stoch_rsi_vec.len() > 10
&& search_result.is_some_and(|a| {
stoch_rsi_vec[a].k > 20.0
&& stoch_rsi_vec[a].k > stoch_rsi_vec[a].d
&& stoch_rsi_vec[a - 1].k < 20.0
&& stoch_rsi_vec[a - 2].k < 20.0
})
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true;
}
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
@ -93,7 +126,6 @@ pub async fn list_up_for_buy(
}
remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Long, server_epoch, &final_filtered_data).await?;
@ -125,7 +157,7 @@ pub async fn list_up_for_sell() -> Result<(), Box<dyn std::error::Error + Send +
is_sell = true;
} else if element.pure_profit_percent <= -0.8 {
is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 {
} else if server_epoch - element.transact_time >= (300_000) * 1 {
// time up selling
is_sell = true;
}

137
src/strategy_team/future_strategy_short.rs
View File

@ -8,7 +8,7 @@ use super::{
Arc, BollingerBandData, Client, ClientBuilder, Decimal, DemaData, EmaData, ExchangeInfo,
FilteredDataValue, HashMap, HashSet, HeatMapLevel, HeatmapVolumeData, MacdData, Mutex,
RealtimePriceData, RoundingStrategy, RsiData, StochRsiData, SuperTrendArea, SuperTrendSignal,
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins
SupertrendData, TemaData, ToPrimitive, TradeFee, WiliamsPercentR, future_duplicate_filter, insert_future_coins, get_current_price_decimal
};
use crate::future::{Position, FuturesExchangeInfo};
@ -31,69 +31,100 @@ pub async fn list_up_for_buy(
}
// current Tema(15) < current Tema(60)
let mut keys_to_remove: HashSet<String> = HashSet::new();
let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
let server_epoch = get_server_epoch().await;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
if tema15_vec.len() > 10
&& tema60_vec.len() > 10
&& tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
&& tema15_vec.last().unwrap().close_time > server_epoch
&& tema60_vec.last().unwrap().close_time > server_epoch
{
if tema15_vec.last().unwrap().tema_value < tema60_vec.last().unwrap().tema_value {
do_buy = true;
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let tema_15 = tema(15, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let tema_60 = tema(60, &alldata.rt_price_1m_vec, &filtered_data).await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(tema15_vec), Some(tema60_vec)) = (tema_15.get(symbol), tema_60.get(symbol)) {
// if tema15_vec.len() > 10
// && tema60_vec.len() > 10
// && tema15_vec.last().unwrap().close_time == tema60_vec.last().unwrap().close_time
// && tema15_vec.last().unwrap().close_time > server_epoch
// && tema60_vec.last().unwrap().close_time > server_epoch
// {
// if tema15_vec.last().unwrap().tema_value < tema60_vec.last().unwrap().tema_value {
// do_buy = true;
// }
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// Heatmap volume: filtering close price with Extra High is over the previous candle from 30 previous candles
let mut keys_to_remove: HashSet<String> = HashSet::new();
let heatmap_volumes = heatmap_volume(
60,
60,
4.0,
2.5,
1.0,
-0.5,
&filtered_data,
&alldata.rt_price_1m_vec,
)
.await?;
// let mut keys_to_remove: HashSet<String> = HashSet::new();
// let heatmap_volumes = heatmap_volume(
// 60,
// 60,
// 4.0,
// 2.5,
// 1.0,
// -0.5,
// &filtered_data,
// &alldata.rt_price_1m_vec,
// )
// .await?;
// let server_epoch = get_server_epoch().await;
// for (symbol, values) in &mut filtered_data {
// let mut do_buy = false;
// if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
// if heatmap_volume_vec.len() > 100
// && heatmap_volume_vec.last().unwrap().close_time > server_epoch
// && rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
// && heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
// && rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
// let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
// rt_price_vec_30m.last().unwrap().close_price,
// )
// .unwrap();
// values.closetime = heatmap_volume_vec.last().unwrap().close_time;
// values.current_price = current_price;
// do_buy = true;
// }
// }
// if do_buy == false {
// keys_to_remove.insert(symbol.clone());
// }
// }
// remove_keys(&mut filtered_data, keys_to_remove).await;
// StochRSI (RSI_len: 30, StochRSI_len: 30, K: 2, D: 2) K_current < 70, K_prev < 70, K_prev_1 < 70
let server_epoch = get_server_epoch().await;
let mut keys_to_remove: HashSet<String> = HashSet::new();
let stoch_rsis = stoch_rsi(30, 30, 2, 2, &alldata.rt_price_1m_vec, &filtered_data).await?;
for (symbol, values) in &mut filtered_data {
let mut do_buy = false;
if let (Some(heatmap_volume_vec), Some(rt_price_vec), Some(rt_price_vec_30m)) = (heatmap_volumes.get(symbol), alldata.rt_price_1m_vec.get(symbol), alldata.rt_price_30m_vec.get(symbol)) {
if heatmap_volume_vec.len() > 100
&& heatmap_volume_vec.last().unwrap().close_time > server_epoch
&& rt_price_vec.last().unwrap().close_time == heatmap_volume_vec.last().unwrap().close_time
&& heatmap_volume_vec[heatmap_volume_vec.len()-2].heatmap_level == HeatMapLevel::ExtraHigh
&& rt_price_vec[rt_price_vec.len()-2].candle_type == CandleType::DOWN {
let current_price: Decimal = rust_decimal::prelude::FromPrimitive::from_f64(
rt_price_vec_30m.last().unwrap().close_price,
)
.unwrap();
values.closetime = heatmap_volume_vec.last().unwrap().close_time;
values.current_price = current_price;
do_buy = true;
let price_and_closetime = get_current_price_decimal(&symbol, &alldata.rt_price_1m_vec).await;
if let (Some(stoch_rsi_vec), Some(current_info)) = (stoch_rsis.get(symbol), price_and_closetime) {
if server_epoch < current_info.1 {
let search_result = stoch_rsi_vec
.iter()
.position(|x| x.close_time == current_info.1);
if stoch_rsi_vec.len() > 10
&& search_result.is_some_and(|a| {
stoch_rsi_vec[a].k < 80.0
&& stoch_rsi_vec[a].k < stoch_rsi_vec[a].d
&& stoch_rsi_vec[a - 1].k > 80.0
&& stoch_rsi_vec[a - 2].k > 80.0
})
{
values.closetime = current_info.1;
values.current_price = current_info.0;
do_buy = true;
}
}
}
}
if do_buy == false {
keys_to_remove.insert(symbol.clone());
}
}
remove_keys(&mut filtered_data, keys_to_remove).await;
let final_filtered_data = future_duplicate_filter(&filtered_data, &future_exchange_info_map).await?;
insert_future_coins(Position::Short, server_epoch, &final_filtered_data).await?;
@ -125,7 +156,7 @@ pub async fn list_up_for_sell() -> Result<(), Box<dyn std::error::Error + Send +
is_sell = true;
} else if element.pure_profit_percent <= -0.8 {
is_sell = true;
} else if server_epoch - element.transact_time >= (600_000) * 1 {
} else if server_epoch - element.transact_time >= (300_000) * 1 {
// time up selling
is_sell = true;
}

5
src/strategy_team/mod.rs
View File

@ -233,14 +233,15 @@ pub async fn get_current_price_f64(
pub async fn get_current_price_decimal(
symbol: &String,
rt_price_map: &HashMap<String, Vec<RealtimePriceData>>,
) -> Option<Decimal> {
) -> Option<(Decimal, i64)> {
if let Some(rt_vec) = rt_price_map.get(symbol) {
if rt_vec.last().is_some_and(|a| a.close_price.is_normal()) {
let current_price = rust_decimal::prelude::FromPrimitive::from_f64(
rt_vec.last().unwrap().close_price,
)
.unwrap();
return Some(current_price);
let close_time = rt_vec.last().unwrap().close_time;
return Some((current_price, close_time));
}
}
None